Building Factor Portfolios Based with the Lowest Correlations

By |2020-10-19T15:14:31-04:00October 22nd, 2020|Skewness, Research Insights, Factor Investing, Guest Posts|

INTRODUCTION The two basic rules of asset allocation are: i) identify assets with positive expected payoffs, and ii) ensure that the assets are not too highly correlated, so that diversification benefits can be harvested. Although [...]

Lottery Preferences and Their Relationship with Factor Investing

By |2020-09-28T13:19:43-04:00October 1st, 2020|Skewness, Research Insights, Larry Swedroe, Academic Research Insight, Behavioral Finance, Low Volatility Investing|

Among the assumptions in the first formal asset pricing model, the CAPM, is that investors are risk-averse, they maximize the expected utility of absolute wealth, and they care only about the mean and variance of [...]

Relative Skewness: A New Risk Factor?

By |2020-07-27T11:36:34-04:00July 27th, 2020|Skewness, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Cross-Asset Skew Nick Baltas and Gabriel SalinasWorking Paper, SSRNA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What are the research [...]

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